Either the command has an http_proxy option available and then you provide the good information or it has to be socksified (for getting through a socks proxy)
Some applications like wget and others use the environment variable http_proxy,ftp_proxy and they look at this variable before connecting to the net.
under bash:
Code:
export http_proxy="http://1.1.1.1:80"
export ftp_proxy="http://1.1.1.1:80"
wget http://www.kernel.org
--10:07:49-- http://www.kernel.org/
=> `index.html'
Connection to 1.1.1.1:80...connected.
[...]
10:07:50 (37.87 KB/s) - « index.html » saved [22301]
If its an http_proxy then the ping (different from http:web) will not use the proxy and will hit your router and if routing is disabled they will be blocked.